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Determinants of the Portuguese government bond yields

dc.contributor.authorBarradas, Ricardo
dc.contributor.authorPinho, André
dc.date.accessioned2020-08-02T08:06:48Z
dc.date.available2020-08-02T08:06:48Z
dc.date.issued2020-07
dc.descriptionArtigo publicado em revista científica internacionalpt_PT
dc.description.abstractThis paper conducts an empirical examination of the determinants of the 10‐, 5‐ and 1‐year Portuguese government bond yields by performing a time series econometric analysis for the period between the first quarter of 2000 and the last quarter of 2016. The literature suggests that the evolution of government bond yields depends on three main risk drivers, namely credit risk, global risk aversion and liquidity risk. We estimate three equations for the 10‐, 5‐ and 1‐year Portuguese government bond yields, including eight independent variables (macroeconomic performance, fiscal conditions, foreign borrowing, the inflation rate, labour productivity, the demographic situation, global risk aversion and liquidity risk) to take into account all three risk drivers referred to in the literature. Our results show that there are no significant differences in the determinants of the Portuguese government bond yields among the different maturities, either in the long term or in the short term. Our results also confirm that all three of the risk drivers have exerted a strong influence on the evolution of the Portuguese government bond yields. Liquidity risk, foreign borrowing and the inflation rate are the main triggers of the rise in the Portuguese government bond yields, which does not counterweigh the beneficial effects played by the fiscal conditions, labour productivity and demographic situation.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.doiDOI: 10.1002/ijfe.191 2pt_PT
dc.identifier.issn1099-1158
dc.identifier.urihttp://hdl.handle.net/10400.21/12139
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherJohn Wiley & Sons Ltdpt_PT
dc.relation.ispartofseries;1-21
dc.relation.publisherversionhttps://onlinelibrary.wiley.com/doi/abs/10.1002/ijfe.1912pt_PT
dc.subjectARDL modelpt_PT
dc.subjectCredit riskpt_PT
dc.subjectGlobal risk aversionpt_PT
dc.subjectGovernment bond yieldspt_PT
dc.subjectLiquidity riskpt_PT
dc.subjectLong-termand short-term determinantspt_PT
dc.subjectPortugalpt_PT
dc.titleDeterminants of the Portuguese government bond yieldspt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.endPage21pt_PT
oaire.citation.startPage1pt_PT
oaire.citation.titleInternational Journal of Finance & Economicspt_PT
person.familyNameBarradas
person.givenNameRicardo
person.identifier.ciencia-id061D-E6BF-503D
person.identifier.orcid0000-0003-0212-3568
person.identifier.scopus-author-id57131382000
rcaap.rightsclosedAccesspt_PT
rcaap.typearticlept_PT
relation.isAuthorOfPublicationc0fa42ef-438a-4757-b835-19de30af5ed6
relation.isAuthorOfPublication.latestForDiscoveryc0fa42ef-438a-4757-b835-19de30af5ed6

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